Jerome Teiletche

World Bank

1818 H Street, NW

Washington, DC 20433

United States

SCHOLARLY PAPERS

21

DOWNLOADS
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Top 6,858

in Total Papers Downloads

12,014

SSRN CITATIONS
Rank 25,508

SSRN RANKINGS

Top 25,508

in Total Papers Citations

10

CROSSREF CITATIONS

37

Scholarly Papers (21)

1.

Generalized Risk-Based Investing

Number of pages: 43 Posted: 24 Jan 2013 Last Revised: 20 Apr 2013
Emmanuel Jurczenko, Thierry Michel and Jerome Teiletche
EDHEC Business School, TOBAM and World Bank
Downloads 3,112 (7,606)
Citation 10

Abstract:

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Risk-Based Investing, Minimum Variance, Risk Parity, Maximum Diversification, Equal-Weight, Low-Vol Anomaly

2.

Alternative Risk Premia Timing: A Point-in-Time Macro, Sentiment, Valuation Analysis

Forthcoming in Journal of Systematic Investing
Number of pages: 35 Posted: 28 Sep 2018 Last Revised: 20 Jan 2021
Olivier Blin, Florian Ielpo, Joan Lee and Jerome Teiletche
Tokai Tokyo Securities Europe, Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES), Unigestion and World Bank
Downloads 1,955 (15,855)
Citation 4

Abstract:

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Alternative Risk Premia, Carry, Trend-Following, Momentum, Equity Factors, Risk-Based Investing, Macro Regimes, Asset Allocation

3.

An Alternative Approach to Alternative Beta

Number of pages: 17 Posted: 30 Nov 2007
Thierry Roncalli and Jerome Teiletche
Amundi Asset Management and World Bank
Downloads 1,952 (15,900)
Citation 20

Abstract:

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Hedge funds, factor models, beta, alpha, replication, Kalman filter

4.

Macro Factor-Mimicking Portfolios

Number of pages: 27 Posted: 02 May 2019 Last Revised: 12 Nov 2022
Emmanuel Jurczenko and Jerome Teiletche
EDHEC Business School and World Bank
Downloads 1,580 (22,191)
Citation 2

Abstract:

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Macroeconomics, factor-mimicking portfolios, portfolio optimization, machine learning

5.

Revisiting the Dependence between Financial Markets with Copulas

Number of pages: 45 Posted: 26 Nov 2007 Last Revised: 03 Apr 2009
Massachusetts Institute of Technology (MIT) - Department of EconomicsUniversity of California, San Diego (UCSD) - Department of Economics, Amundi Asset Management and World Bank
Downloads 592 (86,616)
Citation 21

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Linear correlation, extreme value theory, quantile regression, concordance order, Deheuvels copula, contagion, Asian crisis

6.

An Empirical Investigation of the VaR of Hedge Funds

Number of pages: 22 Posted: 25 Mar 2008
Jerome Teiletche and Florent Pochon
World Bank and Olympia Capital Management
Downloads 435 (125,819)

Abstract:

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Value at Risk, Hedge Funds, GARCH, Backtesting

7.

The Euro-Dollar Exchange Rate: A Long Term Perspective

Number of pages: 29 Posted: 25 Mar 2008
Jerome Teiletche
World Bank
Downloads 377 (148,077)

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real exchange rate, fundamentals, cointegration, forecasting, bootstrap

8.

Reconsidering Asset Allocation Involving Illiquid Assets

Number of pages: 22 Posted: 25 Mar 2008
Dan Cao and Jerome Teiletche
Georgetown University - Department of Economics and World Bank
Downloads 353 (159,254)
Citation 1

Abstract:

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illiquidity, smoothing, alternative assets

9.

Regime-Based Strategic Asset Allocation

Number of pages: 34 Posted: 22 Apr 2024
Eric Bouyé and Jerome Teiletche
World Bank and World Bank
Downloads 351 (162,234)

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macro regimes, strategic asset allocation, mean-variance-optimization, risk-based investing

10.

A Conditional Approach to Hedge Fund Risk

Number of pages: 28 Posted: 25 Mar 2008
Jerome Teiletche and Florent Pochon
World Bank and Olympia Capital Management
Downloads 308 (184,078)

Abstract:

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hedge funds, risk, mixture models, stress tests

11.

The Ultra-High Frequency Dynamics of European Bond Yields

Number of pages: 35 Posted: 25 Mar 2008
Jerome Teiletche and Charlotte Lespagnol
World Bank and affiliation not provided to SSRN
Downloads 303 (187,316)

Abstract:

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C14, C22, G14

12.

Performances of Hedge Funds and Standard Assets: A Systematic Investigation

Number of pages: 50 Posted: 25 Mar 2008
Jerome Teiletche and Yann Tampereau
World Bank and affiliation not provided to SSRN
Downloads 199 (282,550)

Abstract:

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Hedge funds, asset allocation, extreme risk, factor models

13.

Emerging Sovereign Bond Markets: A View from the Extremes

Regional Currency Areas in Globalization, Patrick Artus, André Cartapanis et Florence Legros, Edward Elgar Publishers, 2005
Number of pages: 42 Posted: 26 Nov 2007
Pierre Laurent and Jerome Teiletche
affiliation not provided to SSRN and World Bank
Downloads 118 (434,889)

Abstract:

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14.

Foreign-Exchange Intervention Strategies and Market Expectations: Insights from Japan

Number of pages: 36 Posted: 04 Jul 2008
Jean-Yves Gnabo and Jerome Teiletche
University of Namur and World Bank
Downloads 116 (440,437)
Citation 2

Abstract:

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Central Bank Interventions, Event Studies, Communication Policy, Risk Neutral Density

15.

Do Interventions in Foreign Exchange Markets Modify Investors' Expectations? The Experience of Japan between 1992 and 2003

CEREG - Cahier de recherche No. 2005-04
Number of pages: 38 Posted: 25 Mar 2008
Jerome Teiletche and Christophe Morel
World Bank and Université Paris Dauphine - DRM-CEREG
Downloads 97 (500,077)
Citation 1

Abstract:

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FX interventions, risk-neutral density, event study, bootstrap, Bank of Japan

16.

Biodiversity and Climate: Friends or Foes?

Number of pages: 66 Posted: 15 Apr 2024
World Bank, World Bank, EDHEC Business School and World Bank
Downloads 79 (571,807)

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Biodiversity Risk, Climate Risk, Portfolio Optimization, Sustainability Trade-Offs, Sovereign Bonds.

17.

Hedge Fund Replication: Does Model Combination Help?

Number of pages: 20 Posted: 21 Nov 2022
Jerome Teiletche
World Bank
Downloads 46 (740,657)

Abstract:

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Hedge funds, model combination, index replication, Bayesian Model Averaging

18.

The determinants of extreme dependence in financial markets

Number of pages: 47 Posted: 18 Aug 2022
Jerome Teiletche
World Bank
Downloads 31 (853,512)

Abstract:

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Extreme-value theory, contagion, gravity models, cross-market linkages

19.

The risky asymmetry of low bond yields

Number of pages: 19 Posted: 20 Dec 2023
Jerome Teiletche
World Bank
Downloads 10 (1,057,861)

Abstract:

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Yield levels, skewness, asset allocation

20.

Active Risk-Based Investing

Posted: 22 May 2019
Emmanuel Jurczenko and Jerome Teiletche
EDHEC Business School and World Bank

Abstract:

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Risk-based investing, risk parity, Black-Litterman, risk budgeting, tactical asset allocation

21.

On the Properties of Equally-Weighted Risk Contributions Portfolios

Posted: 21 May 2019
Sébastien Maillard, Thierry Roncalli and Jerome Teiletche
Lyxor Asset Management, Amundi Asset Management and World Bank

Abstract:

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Asset allocation, risk contributions, minimum-variance, portfolio construction, risk budgeting, portfolio diversification